Analisis Runtun Waktu dan Peramalan

Tugas Pertemuan ke- 4

Oleh

Nama : Muh. Qardawi Hamzah

NIM : H062202012

MAGISTER STATISTIKA
FAKULTAS MATEMATIKA DAN ILMU PENGETAHUAN ALAM
UNIVERSITAS HASANUDDIN
MAKASSAR
2021
Install packages

> library(TSA)

> library(MASS)

> library(uroot)

> library(tseries)

Sampel autokolerasi proses MA (1), θ=0,9

> data("ma1.1.s")

> win.graph(width = 4.875, height = 3, pointsize = 8)

> acf(ma1.1.s,xaxp=c(0,20,10))

Batas alternatif sampel ACF MA (1)

> acf(ma1.1.s,ci.type='ma',xaxp=c(0,20,10))
Sampel autokorelasi proses MA (1), θ=−0,9

> acf(ma1.2.s,xaxp=c(0,20,10))

Sampel autokorelasi proses MA(2), θ1=1 dan θ2=−0,6

> data("ma2.s")

> acf(ma2.s,xaxp=c(0,20,10)
Batas alternatif sampel ACF MA(2)

> acf(ma2.s,ci.type='ma',xaxp=c(0,20,10))

Sampel ACF proses AR(1), ϕ=0,9

> data("ar1.s")

> acf(ar1.s,xaxp=c(0,20,10))
Sampel PACF dari proses AR(1), ϕ=0,9

> pacf(ar1.s,xaxp=c(0,20,10))

Sampel ACF proses AR(2), ϕ 1=1,5 dan ϕ2=−0,75

> data("ar2.s")

> acf(ar2.s,xaxp=c(0,20,10))

Sampel PACF proses AR(2), ϕ 1=1 ,5 dan ϕ2 =−0,75

> pacf(ar2.s,xaxp=c(0,20,10))
Simulasi ARMA (1,1), ϕ 1=0,6 dan ϕ2=−0 , 3

> data("arma11.s")

> plot(arma11.s, type='o',ylab=expression(Y[t]))

Sampel ACF simulasi ARMA (1,1)

> acf(arma11.s,xaxp=c(0,20,10))

Sampel PACF simulasi ARMA (1,1)

> pacf(arma11.s,xaxp=c(0,20,10))
Sampel EACF simulasi ARMA(1,1)

> eacf(arma11.s)

AR/MA

0 1 2 3 4 5 6 7 8 9 10 11 12 13

0xxxxooooooo o o o

1xoooooooooo o o o

2xoooooooooo o o o

3xxooooooooo o o o

4xoxoooooooo o o o

5xoooooooooo o o o

6xoooxoooooo o o o

7xoooxoooooo o o o

Nonstationary

Sampel ACF dari runtun waktu harga minyak

> data("oil.price")

> acf(as.vector(oil.price),xaxp=c(0,20,10))

Sampel ACF differencing Log Harga Minyak (the Difference of the Log Oil Price Series)
> acf(diff(as.vector(log(oil.price))),xaxp=c(0,24,12))
Sampel ACF overdifferencing data Random Walk

> data(rwalk)

> acf(diff(rwalk,difference=2),ci.type='ma',xaxp=c(0,18,9))

Sampel ACF Correctly Differenced Random Walk

> acf(diff(rwalk),ci.type='ma',xaxp=c(0,18,9))

Best Subset ARMA berdasarkan BIC

> set.seed(92397)
> test=arima.sim(model=list(ar=c(rep(0,11),.8),ma=c(rep(0,11),0.7)),n=120)
> res=armasubsets(y=test,nar=14,nma=14,y.name = 'test',ar.method = 'ols')
> plot(res)
Runtun waktu curah hujan tahunan di LA

> data("larain");win.graph(width=2.5,height = 2.5,pointsize = 8)

> qqnorm(log(larain));qqline(log(larain))

Sampel ACF dari Log curah hujan tahunan di LA

> win.graph(width = 4.875,height = 3,pointsize = 8)

> acf(log(larain),xaxp=c(0,20,10))

Sampel ACF the color property series

> data("color")

> acf(color,ci.type='ma')
Sampel PACF the color property series

> pacf(color)

Transformasi box-cox power

> win.graph(width=3,height=3,pointsize=8)

> data(hare)

> BoxCox.ar(hare)

Sampel ACF akar kuadrat Hare Abundance

> acf(hare^.5)
Extended ACF differencing harga minyak

> eacf(diff(log(oil.price)))

AR/MA

0 1 2 3 4 5 6 7 8 9 10 11 12 13

0xoooooooooo o o o

1xxoooooooox o o o

2oxooooooooo o o o

3oxooooooooo o o o

4oxxoooooooo o o o

5oxoxooooooo o o o

6oxoxooooooo o o o

7xxoxooooooo o o o

Model ARMA differencing harga minyak

> res=armasubsets(y=diff(log(oil.price)),nar = 7,nma = 7,y.name = 'test',ar.method = 'ols')

> plot(res)

Sampel ACF differencing harga minyak

> acf(as.vector(diff(log(oil.price))),xaxp=c(0,22,11))
Sampel PACF differencing harga minyak

> pacf(as.vector(diff(log(oil.price))),xaxp=c(0,22,1 1))